Dakota Reference Manual
Version 6.4
LargeScale Engineering Optimization and Uncertainty Analysis

Use derivatives to inform the MCMC proposal covariance.
This keyword is related to the topics:
Alias: none
Argument(s): none
Required/Optional  Description of Group  Dakota Keyword  Dakota Keyword Description  

Optional  proposal_updates  Restarts the MCMC chain with updated derivativebased proposal covariance. 
This keyword selection results in definition of the MCMC proposal covariance from the Hessian of the misfit function (negative log likelihood), where this Hessian is defined from either a GaussNewton approximation (using only first derivatives of the calibration terms) or a full Hessian (using values, first derivatives, and second derivatives of the calibration terms). If this Hessian is indeterminate, it will be corrected as described in[4]
Default Behavior The default is prior
based proposal covariance. This is a more advanced option that exploits structure in the form of the likelihood.
Expected Output
When derivatives are specified for defining the proposal covariance, the misfit Hessian and its inverse (the MVN proposal covariance) will be output to the standard output stream.
Usage Tips
The full Hessian of the misfit is used when either supported by the emulator in use (for PCE and surfpack GP, but not SC or dakota GP) or by the user's response specification (Hessian type is not "no_hessians"), in the case of no emulator. When this full Hessian is indefinite and cannot be inverted to form the proposal covariance, fallback to the positive semidefinite GaussNewton Hessian is employed.
Since this proposal covariance is locally accurate, it should be updated periodically using the proposal_updates option. While the adaptive metropolis option can be used in combination with derivativebased preconditioning, it is generally preferable to instead increase the proposal update frequency due to the improved local accuracy of this approach.
method, bayes_calibration queso samples = 2000 seed = 348 delayed_rejection emulator pce sparse_grid_level = 2 proposal_covariance derivatives # default proposal_updates